A discussion on mean excess plots
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Publication:983173
DOI10.1016/J.SPA.2010.04.002zbMATH Open1195.62068arXiv0907.5236OpenAlexW2035177451MaRDI QIDQ983173FDOQ983173
Authors: Souvik Ghosh, Sidney I. Resnick 
Publication date: 3 August 2010
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: A widely used tool in the study of risk, insurance and extreme values is the mean excess plot. One use is for validating a generalized Pareto model for the excess distribution. This paper investigates some theoretical and practical aspects of the use of the mean excess plot.
Full work available at URL: https://arxiv.org/abs/0907.5236
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Cited In (16)
- Invited article by M. Gidea: Extreme events and emergency scales
- Estimation of the Pareto and related distributions – A reference-intrinsic approach
- When does the mean excess plot look linear?
- Are your data really Pareto distributed?
- Optimal threshold determination based on the mean excess plot
- Methods to distinguish between polynomial and exponential tails
- Detecting tail behavior: mean excess plots with confidence bounds
- Convergence of persistence diagrams for topological crackle
- Generalized PELVE and applications to risk measures
- Extreme events in dynamical systems and random walkers: a review
- Sequential Monte Carlo samplers to fit and compare insurance loss models
- Estimation of mean residual life based on ranked set sampling
- Weak limits for exploratory plots in the analysis of extremes
- Analyzing and predicting cat bond premiums: a financial loss premium principle and extreme value modeling
- Threshold selection for regional peaks-over-threshold data
- Cramér-von-Mises tests for the distribution of the excess over a confidence level
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